can be used in risk measurement and forecasting. Value at risk (VaR) is a widely used measure of financial risk, which … assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a …

. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were …

We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given … value-at-risk and expected shortfall, but the approach also works for other risk measures. …